Strategy Zoo / S0711

LongTermTrend_V0711

ARCHIVEDhybrid

crossoverentry = LongTermTrend_V0521 OR PriceMomentum_V0294

Fitness

0.6225

Generation

Complexity

Created

2026-09-25

Lineage

Parents (2)

PriceMomentum_V0294S0294 · gen 14ARCHIVEDcrossover

entry from PriceMomentum_V0054, exit from PriceMomentum_V0227

LongTermTrend_V0521S0521 · gen 24ARCHIVEDcrossover

entry = LongTermTrend_V0469 OR MACDMomentum_V0272

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0711  [hybrid]
if flat and (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > 0.0541) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) or ret_20d > 0.05):
    position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	18.0%	130.3%	5.1%	31.6%
Total Return	274.7%	1120.7%	20.3%	5566.4%
Sharpe	0.61	1.78	0.34	0.82
Sortino	0.81	2.21	0.46	1.09
Calmar	0.24	3.53	0.09	0.42
Volatility	41.1%	55.5%	47.7%	46.1%
Max DD	-76.1%	-36.9%	-59.9%	-76.1%
Win Rate	39.1%	62.5%	42.9%	44.4%
Avg Win	65.1%	87.0%	23.0%	65.1%
Avg Loss	-13.8%	-8.8%	-12.5%	-12.8%
Payoff	4.73	9.84	1.83	5.09
Expectancy	17.1%	51.0%	2.7%	21.8%
Profit Factor	3.04	10.00	1.37	4.07
Trades	23	8	14	45
Avg Holding Days	63.7	66.4	50.2	61.7
Turnover	5.9	5.3	7.8	6.2
Exposure	75.5%	69.2%	76.3%	74.5%

Growth of $100

LongTermTrend_V0711 vs TSLA Buy & Hold

LongTermTrend_V0711 TSLA Buy & HoldIn-sampleValidationHidden test

Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.

Walk-Forward Years

year-by-year stability matters more than any single year

Year	CAGR	Sharpe	Max DD	Trades
2016	-26.7%	-0.97	-48.2%	4
2017	17.2%	0.64	-33.7%	2
2018	-9.3%	0.01	-43.9%	3
2019	7.3%	0.38	-42.7%	4
2020	842.7%	3.35	-33.7%	2
2021	45.8%	1.11	-26.1%	3
2022	-25.3%	-0.59	-30.2%	3

A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.

Regime Performance

Period	Regime	Days	Ann. Return	Sharpe	Exposure
hidden test	DOWNTREND	271	-6.8%	-0.15	49%
hidden test	EXPENSIVE	83	118.7%	2.18	83%
hidden test	EXTREME	48	189.8%	3.11	88%
hidden test	HIGH VOLATILITY	254	38.0%	0.61	70%
hidden test	LOW VOLATILITY	431	35.2%	0.97	79%
hidden test	MEDIUM VOLATILITY	250	-38.5%	-0.81	78%
hidden test	NORMAL	804	-4.7%	-0.10	75%
hidden test	SIDEWAYS	293	-43.2%	-0.97	86%
hidden test	UPTREND	371	80.1%	1.53	88%
train	DOWNTREND	518	-21.9%	-0.67	59%
train	EXPENSIVE	311	85.1%	1.92	86%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	49.3%	0.94	69%
train	LOW VOLATILITY	745	34.9%	1.16	83%
train	MEDIUM VOLATILITY	568	-18.3%	-0.49	74%
train	NORMAL	1,601	-11.2%	-0.30	72%
train	SIDEWAYS	592	-10.7%	-0.28	68%
train	UPTREND	902	75.1%	1.60	90%
validation	DOWNTREND	125	48.7%	1.87	22%
validation	EXPENSIVE	138	96.2%	1.59	83%
validation	EXTREME	144	378.9%	4.47	95%
validation	HIGH VOLATILITY	258	130.6%	1.84	57%
validation	LOW VOLATILITY	183	56.0%	1.69	87%
validation	MEDIUM VOLATILITY	315	97.7%	1.90	69%
validation	NORMAL	474	14.5%	0.37	57%
validation	SIDEWAYS	206	-15.3%	-0.36	63%
validation	UPTREND	425	168.9%	2.55	86%

Trades (full period)

46 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-21	—	$362.86	—	10.03%	24	OPEN
2026-07-01	2026-07-24	$425.30	$313.03	-24.14%	17
2026-04-16	2026-06-26	$388.90	$379.71	-4.49%	50
2025-04-28	2026-04-09	$285.88	$345.62	20.22%	239
2025-04-08	2025-04-23	$221.86	$250.74	1.80%	11
2024-10-25	2025-01-28	$269.19	$398.09	52.17%	63
2024-08-20	2024-10-23	$221.10	$213.65	-2.33%	46
2024-04-30	2024-08-05	$183.28	$198.88	6.80%	67
2024-04-15	2024-04-19	$161.48	$147.05	-12.53%	5
2024-02-26	2024-03-15	$199.40	$163.57	-15.52%	15
2023-11-16	2024-01-18	$233.59	$211.88	-11.42%	42
2023-08-30	2023-10-20	$256.90	$211.99	-14.59%	37
2023-05-19	2023-08-14	$180.14	$239.76	36.90%	59
2023-03-24	2023-04-21	$190.41	$165.08	-15.38%	20
2023-01-25	2023-03-10	$144.43	$173.44	19.94%	32
2022-06-22	2022-10-06	$236.09	$238.13	1.39%	75
2022-03-21	2022-04-27	$307.05	$293.84	-3.39%	27
2021-12-28	2022-01-26	$362.82	$312.47	-16.21%	21
2021-06-14	2021-12-06	$205.90	$336.34	66.09%	123
2021-04-05	2021-05-12	$230.35	$196.63	-6.91%	28
2020-10-07	2021-02-23	$141.77	$232.95	72.25%	95
2020-04-14	2020-09-30	$47.33	$143.00	221.27%	119
2019-09-11	2020-03-05	$16.47	$48.30	217.58%	122
2019-06-18	2019-08-15	$14.98	$14.38	-2.60%	42
2019-04-04	2019-04-29	$17.85	$16.10	-19.59%	17
2019-01-11	2019-03-07	$23.15	$18.44	-20.08%	38
2018-10-04	2019-01-04	$18.79	$21.18	1.68%	63
2018-08-03	2018-09-05	$23.21	$18.72	-17.50%	23
2018-04-27	2018-07-30	$19.61	$19.34	3.89%	65
2017-12-12	2018-03-26	$22.74	$20.28	-8.50%	71
2017-07-25	2017-11-03	$22.64	$20.41	-12.81%	73
2016-10-04	2017-07-07	$14.09	$20.88	44.23%	191
2016-07-12	2016-09-06	$14.98	$13.52	-12.19%	40
2016-06-08	2016-06-27	$15.70	$13.24	-17.03%	14
2016-03-04	2016-05-05	$13.40	$14.10	13.48%	44
2015-11-09	2016-01-21	$15.02	$13.33	-14.66%	50
2015-09-16	2015-10-13	$17.48	$14.62	-15.15%	20
2015-02-04	2015-08-26	$14.57	$14.99	0.56%	142
2014-11-11	2014-12-11	$16.74	$13.93	-13.43%	22
2014-10-08	2014-10-13	$17.29	$14.97	-8.91%	4
2014-05-28	2014-10-01	$14.02	$16.02	14.48%	89
2013-12-13	2014-03-27	$9.84	$13.82	44.12%	71
2012-11-02	2013-10-29	$1.93	$10.96	455.67%	249
2012-08-14	2012-10-16	$1.96	$1.87	-12.50%	45
2012-06-19	2012-08-02	$2.14	$1.74	-17.72%	32
2012-01-31	2012-04-25	$1.94	$2.19	7.39%	60